Model Risk Governance and Review Group

8 months ago


Canary Wharf, United Kingdom JPMorgan Chase & Co Full time

**JOB DESCRIPTION**
As part of Risk Management and Compliance, you are at the center of keeping JPMorgan Chase strong and resilient. You help the firm grow its business in a responsible way by anticipating new and emerging risks, and by using your expert judgement to solve real-world challenges that impact our company, customers and communities. Our culture is all about thinking outside the box, challenging the status quo and striving to be best-in-class.

Model Risk Governance and Review (MRGR) is a global team of modeling experts within the firm’s Risk Management and Compliance organization. The team is responsible for conducting independent model review and model governance activities to help identify, measure, and mitigate Model Risk in the firm. The objective is to ensure that models are fit for purpose, used appropriately within the business context for which they have been approved, and that model users are aware of the model limitations and how they could impact business decisions.

MRGR Corporate & Investment Banking (CIB) Trading covers valuation and risk-management models used within the Corporate & Investment Bank. The team focuses on Derivatives Instruments, which involve some of the most complex and advanced modeling techniques used in the industry.

As an Associate in MRGR’s Valuation Control Group team (VCG), you will be at the center of the firm’s model review and governance activities with exposure to a wide variety of model types and cutting-edge modeling techniques. You will have exposure to a variety of business areas and work closely with other Risk Teams, Model Developers, Trading, and Finance, who are all key stakeholders in the day-to-day management of model risk.

**Job responsibilities**
- Evaluate conceptual soundness of model specifications, reasonableness of assumptions, reliability of inputs, completeness of testing, correctness of implementation, and suitability and comprehensiveness of performance metrics and risk measures
- Design and implement experiments to measure the potential impact of model limitations, parameter estimation errors, and deviations from model assumptions; compare model outputs with empirical evidence or outputs from model benchmarks
- Document the model review findings and communicate them to stakeholders
- Help represent MRGR VCG in meetings with VCG, management and regulators
- Help develop the MRGR VCG team
- Serve as the first point of contact for model governance related inquiries for the coverage area, and help identify and escalate issues to ensure that their resolutions are sound and timely
- Provide guidance on the appropriate usage of models to model developers, users, and other stakeholders in the firm
- Stay abreast of the ongoing performance testing outcomes for models used in the coverage area, and communicate those outcomes to stakeholders
- Maintain the model inventory and model metadata for the coverage area
- Keep up with the latest developments in coverage area in terms of products, markets, models, risk management practices, and industry standards
- Participate in model-related audits and regulatory examinations of the coverage area

**Required qualifications, capabilities and skills**
- Excellent written and verbal communication skills
- Experience in a modeling or validation role
- Strong analytical and problem-solving abilities
- Excellence in probability theory, stochastic processes, statistics, partial differential equations, and numerical analysis. Understanding of options and derivative pricing theory and risks
- Strong Risk and control mindset. Experience with Risk Policies and Procedures
- Good comprehension skills, an inquisitive nature, ability to ask salient questions, assess materiality of model issues, and escalate issues appropriately
- The ability to interface with front office and functional areas in the firm on model-related issues; produce documents for internal and external (regulatory) consumption

**Preferred qualifications, capabilities and skills**
- Some prior knowledge of VCG methodologies (in particular, Fair Value Adjustments and Prudent Valuation Adjustments)
- Experience interacting with regulators
- Good team player with experience working with other teams around tight deadlines
- Demonstrate organization skills: flexible, adaptable to shifting priorities to achieve the most effective result and able to work in a fast-paced, results-driven environment
- Proficient in Python, R, Matlab, C++, or other programming languages

**ABOUT US**

J.P. Morgan is a global leader in financial services, providing strategic advice and products to the world’s most prominent corporations, governments, wealthy individuals and institutional investors. Our first-class business in a first-class way approach to serving clients drives everything we do. We strive to build trusted, long-term partnerships to help our clients achieve their business objectives.

We recognize that our people are our strength and the diverse



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